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Operational Research and Artificial Intelligence Methods in Banking

Doumpos, Michael; Zopounidis, Constantin; Gounopoulos, … - 2022

Banking is a popular topic for empirical and methodological research that applies operational research (OR) and …-based research devoted to the banking industry over the last decade. The article reviews the main topics of this research, including … bank efficiency, risk assessment, bank performance, mergers and acquisitions, banking regulation, customer-related studies …

Persistent link: https://www.econbiz.de/10013292054

A Quadratic Gaussian Year-on-Year Inflation Model

Gretarsson, Hringur - 2013

We introduce a new approach to model the market smile for inflation-linked derivatives by defining the Quadratic Gaussian Year-on-Year inflation model -- the QGY model. We directly define the model in terms of a year-on-year ratio of the inflation index on a discrete tenor structure, which,...

Persistent link: https://www.econbiz.de/10013081107

Systemically Important Banks : A Permutation Test Approach

Frattarolo, Lorenzo - 2016

According to the definition of Financial Stability Board (FSB), Systemically Important Banks (SIBs) are the banks “whose disorderly failure, because of their size, complexity and systemic interconnectedness, would cause significant disruption to the wider financial system and economic...

Persistent link: https://www.econbiz.de/10012980094

Systemic Capital Requirements

Webber, Lewis - 2011

The credit risk that an individual bank poses to the rest of the financial system depends on its size, the type of exposures it has to the real economy, and its obligations to other institutions. This paper describes a system-wide risk management approach to calibrating individual banks' capital...

Persistent link: https://www.econbiz.de/10013119487

The impact of network inhomogeneities on contagion and system stability

Hübsch, Arnd; Walther, Ursula - 2012

This work extends the contagion model introduced by Nier et al. (2007) to inhomogeneous networks. We preserve the convenient description of a financial system by a sparsely parameterized random graph but add several relevant inhomogeneities, namely well-connected banks, financial institutions...

Persistent link: https://www.econbiz.de/10009517810

Innovation, finance, and economic growth : an agent-based approach

Fagiolo, Giorgio; Giachini, Daniele; Roventini, Andrea - 2017

that banking activity has a positive impact on growth. However, excessive financialization can hamper growth. Indeed, we …

Persistent link: https://www.econbiz.de/10011752444

Participating Mortgages and the Efficiency of Financial Intermediation

Ebrahim, Muhammed Shahid - 2013

This paper offers a means to enhance the efficiency of the financial system in the form of Participating Mortgages (PMs) to make it more resilient and to mitigate systemic risk. We establish a basic setup to study the variants of PMs, distinguish them from convertible mortgages and derive...

Persistent link: https://www.econbiz.de/10013095017

Stressed but not helpless : strategic behavior of banks under adverse market conditions

Halaj, Grzegorz; Priazhkina, Sofia - 2021 - Last updated: July 19, 2021

banking system and the role of macroprudential policies in the mitigation of systemic risk. In a macro-consistent stress … testing application, we show that a trade-off can arise between banking stability (solvency) and macroeconomic stability …

Persistent link: https://www.econbiz.de/10012591729

Banks' Strategic Interaction, Adverse Price Dynamics and Systemic Liquidity Risk

Krüger, Ulrich; Roling, Christoph; Silbermann, Leonid; … - 2022

) to assess liquidity in the banking system. The SLB takes an aggregated perspective on liquidity risks in the banking …

Persistent link: https://www.econbiz.de/10013294816

A new pricing approach for SME loans issued by commercial banks based on credit score mapping and Archimedean Copula simulation

Liu, Chang; Shi, Haoming; Cai, Yujun; Shen, Shu; Lin, … - In: Journal of business economics and management 20 (2019) 4, pp. 618-632

not only to the banks' management, but also to banking regulators as well. …

Persistent link: https://www.econbiz.de/10012175768